"Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?"
©
Journal of Monetary Economics,
May
2007
Volume: 54
|
Issue: 4
|
Pages: 1163-1212
Publication type: Journal article
Research Archive Topic: Business Economics and Public Policy, Capital Markets and Investments, Corporate Finance
Abstract
Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time-series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information.
The final version of this article can be found at http://dx.doi.org/10.1016/j.jmoneco.2006.04.006.
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